Your Shelter is your own corner of the Eastern Marches. Here you can build your own defensive fort to keep out your enemies, ensuring you can sleep soundly through the night and keep your scavenged loot safe.
When you start your game, your Shelter will be an unkempt tract of land with a broken wagon, trees, stone, and other Resources. Follow the tutorial to learn the basics of survival - this includes hunting, crafting, and building. You can use these skills to tame the wildness around you and make your Shelter a place truly fit for the new ruler of the wilderness.
Your first major goal is to have a complete building (or more) with walls and floors. These walls keep out enemies - the more you upgrade them, the harder it will be for others to break-in. Upgrading your Shelter requires different Resources, which you can look at from the Building Menu. You can also construct traps to place outside for the unprepared traveler sneaking by.
Your Shelter should also have farmland for growing your own crops, a proper water supply, and room to be home to a mount or two. Plan how you build your new home carefully.